New guidance from Basel on counterparty credit risk requirements

The Basel Committee on Banking Supervision (BCBS) has issued Frequently Asked Questions (FAQs) on counterparty credit risk requirements under Basel III. This is the fourth iteration of detailed technical answers to numerous requests for clarification and interpretation the committee has received since it published the Basel III capital and liquidity frameworks at the end of 2010, as well as questions about the 2012 interim framework for central counterparties' (CCPs') capital requirements for bank exposures.
The FAQs deal with Basel III's default counterparty credit risk charge; the Capital Valuation Adjustment (CVA) capital charge; and asset value correlations. But the only new guidance in this fourth version, which the BCBS published on December 28, appears in the section on calculating banks' CVA capital charge. The new answers relate to: Whether separate Value-at-Risk (VaR) backtesting is needed for calculating the CVA capital charge
How frequently banks need to calculate their

This article is only available in full to Compliance Complete
North America UK and Europe Australasia Asia Middle East Subscribers who are logged in.
Please log in to see if you can view this content.